A Sparsification Approach for Temporal Graphical Model Decomposition.

Temporal causal modeling can be used to recover the causal structure among a group of relevant time series variables. Several methods have been developed to explicitly construct temporal causal graphical models. However, how to best understand and conceptualize these complicated causal relationships is still an open problem. In this paper, we propose a decomposition approach to simplify the temporal graphical model. Our method clusters time series variables into groups such that strong interactions appear among the variables within each group and weak (or no) interactions exist for cross-group variable pairs. Specifically, we formulate the clustering problem for temporal graphical models as a regression-coefficient sparsification problem and define an interesting objective function which balances the model prediction power and its cluster structure. We introduce an iterative optimization approach utilizing the Quasi-Newton method and generalized ridge regression to minimize the objective function and to produce a clustered temporal graphical model. We also present a novel optimization procedure utilizing a graph theoretical tool based on the maximum weight independent set problem to speed up the Quasi-Newton method for a large number of variables. Finally, our detailed experimental study on both synthetic and real datasets demonstrates the effectiveness of our methods.